-
1
-
-
0016355478
-
A new look at the statistical identification model
-
Akaike, H. "A New Look at the Statistical Identification Model." IEEE Transactions on Automatic Control, 19 (1974), 716-723.
-
(1974)
IEEE Transactions on Automatic Control
, vol.19
, pp. 716-723
-
-
Akaike, H.1
-
2
-
-
0000433727
-
A variance decomposition for stock returns
-
Campbell, J. Y. "A Variance Decomposition for Stock Returns." Economic Journal, 101 (1991), 157-179.
-
(1991)
Economic Journal
, vol.101
, pp. 157-179
-
-
Campbell, J.Y.1
-
3
-
-
0000007521
-
The dividend-price ratio and expectations of future dividends and discount factors
-
Campbell, J. Y., and R. J. Shiller. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors." Review of Financial Studies, 1 (1989), 195-228.
-
(1989)
Review of Financial Studies
, vol.1
, pp. 195-228
-
-
Campbell, J.Y.1
Shiller, R.J.2
-
5
-
-
0002901012
-
Trading rules, large blocks and the speed of price adjustment
-
Dann, L.; D. Mayers; and R. Raab, Jr. "Trading Rules, Large Blocks and the Speed of Price Adjustment." Journal of Financial Economics, 4 (1977), 3-22.
-
(1977)
Journal of Financial Economics
, vol.4
, pp. 3-22
-
-
Dann, L.1
Mayers, D.2
Raab, R.3
-
6
-
-
0039008370
-
A test for price pressure effects in tender offer stock repurchases
-
Davidson, W., III; I. Chhachhi; and J. Glascock. "A Test for Price Pressure Effects in Tender Offer Stock Repurchases." Financial Review, 31 (1996), 25-49.
-
(1996)
Financial Review
, vol.31
, pp. 25-49
-
-
Davidson, W.1
Chhachhi, I.2
Glascock, J.3
-
7
-
-
0001909759
-
Changes in the standard and poor's 500 list
-
Dhillon, U., and H. Johnson. "Changes in the Standard and Poor's 500 List." Journal of Business, 64 (1991), 75-85.
-
(1991)
Journal of Business
, vol.64
, pp. 75-85
-
-
Dhillon, U.1
Johnson, H.2
-
8
-
-
85036258669
-
Distribution of the estimators for autoregressive time series with a unit root
-
Dickey, D., and W. Fuller. "Distribution of the Estimators for Autoregressive Time Series with a Unit Root." Journal of the American Statistical Association, 74 (1979), 427-431.
-
(1979)
Journal of the American Statistical Association
, vol.74
, pp. 427-431
-
-
Dickey, D.1
Fuller, W.2
-
11
-
-
85009935896
-
Cointegration and error correction: Representation, estimation and testing
-
Engle, R., and W. Granger. "Cointegration and Error Correction: Representation, Estimation and Testing." Econometrica, 55 (1987), 251-276.
-
(1987)
Econometrica
, vol.55
, pp. 251-276
-
-
Engle, R.1
Granger, W.2
-
12
-
-
45949119851
-
Forecasting and testing in cointegrated systems
-
Engle, R., and B. Yoo. "Forecasting and Testing in Cointegrated Systems." Journal of Econometrics, 35 (1987), 143-159.
-
(1987)
Journal of Econometrics
, vol.35
, pp. 143-159
-
-
Engle, R.1
Yoo, B.2
-
13
-
-
84977707061
-
Stock returns, expected returns, and real activity
-
Fama, E. F. "Stock Returns, Expected Returns, and Real Activity." Journal of Finance, 45 (1990), 1089-1109.
-
(1990)
Journal of Finance
, vol.45
, pp. 1089-1109
-
-
Fama, E.F.1
-
14
-
-
34250890715
-
Business conditions and expected returns on stocks and bonds
-
Fama, E., and K. French. "Business Conditions and Expected Returns on Stocks and Bonds." Journal of Financial Economics, 25 (1989), 23-49.
-
(1989)
Journal of Financial Economics
, vol.25
, pp. 23-49
-
-
Fama, E.1
French, K.2
-
15
-
-
0039572352
-
Mutual funds, part II: Fund flows and security returns
-
Jan.-Feb
-
Fortune, P. "Mutual Funds, Part II: Fund Flows and Security Returns." New England Economic Review (Jan.-Feb. 1998), 3-22.
-
(1998)
New England Economic Review
, pp. 3-22
-
-
Fortune, P.1
-
16
-
-
84993843443
-
Testing the predictive power of dividend yields
-
Goetzmann, W., and P. Jorion. "Testing the Predictive Power of Dividend Yields." Journal of Finance, 47 (1993), 663-679.
-
(1993)
Journal of Finance
, vol.47
, pp. 663-679
-
-
Goetzmann, W.1
Jorion, P.2
-
19
-
-
28144459550
-
Some recent developments in a concept of causality
-
Granger, C. W. "Some Recent Developments in a Concept of Causality." Journal of Econometrics, 39 (1988), 199-211.
-
(1988)
Journal of Econometrics
, vol.39
, pp. 199-211
-
-
Granger, C.W.1
-
20
-
-
84886231184
-
Price and volume effects associated with changes in the S&P 500 list: New evidence for the existence of price pressure
-
Harris, L., and E. Gurel. "Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressure." Journal of Finance, 41 (1986), 815-829.
-
(1986)
Journal of Finance
, vol.41
, pp. 815-829
-
-
Harris, L.1
Gurel, E.2
-
21
-
-
0003141964
-
Tests for price effects of new issues of seasoned securities
-
Hess, A., and P. Frost. "Tests for Price Effects of New Issues of Seasoned Securities." Journal of Finance, 36 (1982), 11-25.
-
(1982)
Journal of Finance
, vol.36
, pp. 11-25
-
-
Hess, A.1
Frost, P.2
-
22
-
-
0000789996
-
Dividend yields and expected stock returns: Alternative procedures for inference and measurement
-
Hodrick, R. J. "Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement." Review of Financial Studies, 5 (1992), 357-386.
-
(1992)
Review of Financial Studies
, vol.5
, pp. 357-386
-
-
Hodrick, R.J.1
-
23
-
-
0001854524
-
The effect on stock price of inclusion in or exclusion from the S&P 500
-
Jain, P. C. "The Effect on Stock Price of Inclusion in or Exclusion from the S&P 500." Financial Analysis Journal, 43 (1987), 58-65.
-
(1987)
Financial Analysis Journal
, vol.43
, pp. 58-65
-
-
Jain, P.C.1
-
24
-
-
38249033843
-
Firm value and seasoned equity issues: Price pressure, wealth redistribution, or negative information
-
Kalay, A., and A. Shimrat. "Firm Value and Seasoned Equity Issues: Price Pressure, Wealth Redistribution, or Negative Information." Journal of Financial Economics, 19 (1987), 109-126.
-
(1987)
Journal of Financial Economics
, vol.19
, pp. 109-126
-
-
Kalay, A.1
Shimrat, A.2
-
25
-
-
0033440941
-
The demand for stocks: An analysis of IPO auctions
-
Kandel, S.; O. Sarig; and A. Wohl. "The Demand for Stocks: An Analysis of IPO Auctions." Review of Financial Studies, 12 (1999), 227-247.
-
(1999)
Review of Financial Studies
, vol.12
, pp. 227-247
-
-
Kandel, S.1
Sarig, O.2
Wohl, A.3
-
27
-
-
46149129689
-
Predicting returns in the stock and bond markets
-
Keim, D., and R. Stambaugh. "Predicting Returns in the Stock and Bond Markets." Journal of Financial Economics, 17 (1986), 357-390.
-
(1986)
Journal of Financial Economics
, vol.17
, pp. 357-390
-
-
Keim, D.1
Stambaugh, R.2
-
28
-
-
84993907815
-
Price impacts of block trading on the New York stock exchange
-
Kraus, A., and H. Stoll. "Price Impacts of Block Trading on the New York Stock Exchange." Journal of Finance, 27 (1972), 569-588.
-
(1972)
Journal of Finance
, vol.27
, pp. 569-588
-
-
Kraus, A.1
Stoll, H.2
-
29
-
-
84977736029
-
Investor sentiment and the closed-end fund puzzle
-
Lee, C.; A. Shleifer; and R. Thaler. "Investor Sentiment and the Closed-End Fund Puzzle." Journal of Finance, 46 (1991), 75-109.
-
(1991)
Journal of Finance
, vol.46
, pp. 75-109
-
-
Lee, C.1
Shleifer, A.2
Thaler, R.3
-
30
-
-
0000177414
-
New evidence on stock price effects associated with changes in the S&P 500 index
-
Lynch, A., and R. Mendenhall. "New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index." Journal of Business, 70 (1997), 351-383.
-
(1997)
Journal of Business
, vol.70
, pp. 351-383
-
-
Lynch, A.1
Mendenhall, R.2
-
31
-
-
0000632966
-
Stock price effects and costs of secondary distribution
-
Mikkelson, W., and M. Partch. "Stock Price Effects and Costs of Secondary Distribution." Journal of Financial Economics, 14 (1985), 165-194.
-
(1985)
Journal of Financial Economics
, vol.14
, pp. 165-194
-
-
Mikkelson, W.1
Partch, M.2
-
32
-
-
77956888124
-
Testing for a unit root in time series regression
-
Phillips, P., and P. Perron. "Testing for a Unit Root in Time Series Regression." Biometrika 75 (1988). 335-346.
-
(1988)
Biometrika
, vol.75
, pp. 335-346
-
-
Phillips, P.1
Perron, P.2
-
33
-
-
84977719222
-
Institutional ownership and changes in the S&P 500
-
Pruitt, S., and J. Wei. "Institutional Ownership and Changes in the S&P 500." Journal of Finance, 45 (1989), 509-513.
-
(1989)
Journal of Finance
, vol.45
, pp. 509-513
-
-
Pruitt, S.1
Wei, J.2
-
35
-
-
0001531652
-
The market for securities: Substitution versus price pressure and the effects of information on share prices
-
Scholes, M. S. "The Market for Securities: Substitution versus Price Pressure and the Effects of Information on Share Prices." Journal of Business, 45 (1972), 179-211.
-
(1972)
Journal of Business
, vol.45
, pp. 179-211
-
-
Scholes, M.S.1
-
36
-
-
85009873742
-
Estimating the dimension of a model
-
Schwarz, G. "Estimating the Dimension of a Model." Annals of Statistics, 6 (1978), 461-464.
-
(1978)
Annals of Statistics
, vol.6
, pp. 461-464
-
-
Schwarz, G.1
-
37
-
-
84977711269
-
Stock returns and real activity: A century of evidence
-
Schwert, G. W. "Stock Returns and Real Activity: A Century of Evidence." Journal of Finance, 45 (1990), 1237-1257.
-
(1990)
Journal of Finance
, vol.45
, pp. 1237-1257
-
-
Schwert, G.W.1
-
38
-
-
0000183976
-
Do demand curves for stocks slope down?
-
Shleifer, A. "Do Demand Curves for Stocks Slope Down?" Journal of Finance, 41 (1986), 579-590.
-
(1986)
Journal of Finance
, vol.41
, pp. 579-590
-
-
Shleifer, A.1
-
39
-
-
0003616269
-
Bias in regression with lagged stochastic regressors
-
Univ. of Chicago
-
Stambaugh, R. F. "Bias in Regression with Lagged Stochastic Regressors." CRSP Working Paper No. 156, Univ. of Chicago (1986).
-
(1986)
CRSP Working Paper No. 156
, vol.156
-
-
Stambaugh, R.F.1
-
40
-
-
0001273817
-
Aggregate mutual fund flows and security returns
-
Warther, V. A. "Aggregate Mutual Fund Flows and Security Returns." Journal of Financial Economics, 39 (1995), 209-235.
-
(1995)
Journal of Financial Economics
, vol.39
, pp. 209-235
-
-
Warther, V.A.1
-
41
-
-
0009002805
-
Has the rise of mutual funds increased market instability?
-
R. Litan and A. Santomero, eds. Washington, D.C.: Brookings Institution
-
_. "Has the Rise of Mutual Funds Increased Market Instability?" In Brookings-Wharton Papers on Financial Services, R. Litan and A. Santomero, eds. Washington, D.C.: Brookings Institution (1998), 239-280.
-
(1998)
Brookings-Wharton Papers on Financial Services
, pp. 239-280
-
-
|